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1answer
15 views

Asian Option with Geometric Averaging

Can someone point me to any notes on how to derive the closed form formula for Asian geometric average option with payoff $\text{max}\left(\text{log}\left(\frac{A_T}{K}\right), 0\right)$ where $A_T$ ...
4
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3answers
105 views

Price of an asian option with squared of average payoff

Is there a closed form solution of the following price formula? Assuming $dS_t=rSdt+\sigma S_t dW_t$ under the Q dynamics $e^{-r(T-t)}\mathbb{E}_t^\mathcal{Q}[(\frac{(\int_0^T S_u du)}{T})^2]$ I ...
4
votes
1answer
116 views

What is the mechanism of Asian option?

I have no problem with the mathematical definition of an Asian option. For example, assume the strike price is $K$, the expiration date is $T$, the underlying asset has price $S(t)$, and the payoff is ...
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0answers
54 views

What is Equity Asian Hybrid?

As listed in http://www.vectorrisk.com/Views/Solutions/ProductList.aspx What's an Equity Asian Hybrid? Any references? What is exactly a hybrid product?
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0answers
119 views

Asian option numerical pricing method generates a negative time value

I use R to write a function which simulates price path and calculates the value of an arithmetic Asian option. I found sometimes the value of the option can be lower than its intrinsic value, i.e., ...
2
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1answer
185 views

Boundary condition for Asian Option under Black-Scholes model

I am looking at Kemna and Vorst's paper: A PRICING METHOD FOR OPTIONS BASED ON AVERAGE ASSET VALUES. see http://www.javaquant.net/papers/Kemna-Vorst.pdf Let $\text{d}S_t = S_tr\text{d}t + ...
2
votes
2answers
146 views

What information about the stochastic process is available from path-dependent options?

Assume the stock follows a process, which is defined by the following stochastic differential equation $$\frac{dS}{S}=r(t)dt+\sigma(S,t)dW,$$ so that the stock price process has local volatility. ...
3
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1answer
721 views

Implied Volatility for Asian option

I am new to the topic of Asian options. Assume I want to price an Asian put (fixed strike, discrete average) in the Black Scholes world. I know implementations to calculate the value but what is the ...
4
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1answer
250 views

Covariance of brownian motion and its time average

It's a question pertaining to the correlation of a log asset process (following BM) and its time average, to put it into form, if $$X(t)=\mu t+\sigma W(t)$$ then $$ ...